Lombardi, MarcoVeredas, David2017-12-022017-12-02200910.1016/j.csda.2008.04.035http://hdl.handle.net/20.500.12127/5244An indirect estimation approach for elliptical stable distributions is presented. The auxiliary model is another elliptical distribution, the multivariate Student- distribution. It has parameters that have a one-to-one relationship with those of the elliptical stable, making the proposed indirect approach particularly suitable. The finite sample behaviour of the estimators is analyzed using a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.enAccounting & FinanceComputational Statistics and Data Analysis1924891818746493